2014/10/22 by V'yugin, Vladimir
#Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #FOS: Economics and business #Portfolio Management (q-fin.PM)
paper · doi:10.48550/arxiv.1410.5996
We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this "artificial" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side information. Unlike in classical mathematical finance theory, no stochastic assumptions are made about market values.